Covalently bonded hybrids (GO-click-TWNTs) of graphene oxide (GO) and thin-walled carbon nanotubes (TWNTs) with different compositions were synthesized by a click chemistry reaction between alkyne-moiety GO and azide-moiety TWNTs. Polyurethane (PU) nanocomposites with the GO-click-TWNT hybrids were prepared to investigate an effect of the GO-click-TWNT hybrids on the mechanical properties of the PU nanocomposites. Synthesis of click coupled hybrids was confirmed by Fourier transform infrared, Raman, and X-ray photoelectron spectroscopies. The transmission electron microscopic measurements showed a well-networked structure between the GO and TWNTs in the hybrids. The GO and TWNTs in the hybrids had a synergistic effect on the mechanical properties of the PU nanocomposites. The PU nanocomposites with GO-click-TWNT hybrids with 3:7 GO/TWNT weight composition showed the highest breaking stress and modulus. The synergistic effect of the GO-click-TWNT hybrids was also shown in their electrical conductivity and near-infrared laser-induced photothermal properties.